بررسی رابطه نوسانات قیمت گواهی سپرده کالایی و حجم معاملات آتی زعفران در بورس کالای ایران

با معرفی گواهی سپرده کالایی در بورس کالای ایران، این پژوهش سعی در شناخت عوامل موثر بر نوسانات قیمت آن و از جمله تاثیر حجم معاملات آتی و ارتباط دوسویه بین این دو در جهت بررسی آزمون فرضیه ترکیب توزیع ها و فرضیه ورود متوالی اطلاعات می نماید. به این منظور از روش بررسی وجود رابطه علیت خطی و غیر خطی بین دو متغیر فوق استفاده و داده ها به صورت روزانه در بازه زمانی شهریور ماه 1397 الی پایان شهریورماه 1399 اخذ شده است. روش تحقیق توصیفی-تحلیلی و روش گردآوری داده ها کتابخانه ای با استفاده از روش ها و مدل های اقتصاد سنجی و مفهوم شبکه های عصبی به کمک نرم افزارهای eviews و r صورت گرفته است. نوسانات قیمت گواهی سپرده زعفران با استفاده از مدل های خانواده arch استخراج گردیده است. نتایج بدست آمده نشان داد که رابطه علیت خطی بین نوسانات قیمت گواهی سپرده و قیمت آتی وجود داشته و این رابطه دوطرفه است. نتایج آزمون bds روی پسماند حاصل از مدلvar بین متغیرها وجود رابطه غیر خطی بین متغیرها را نشان می دهد. نتایج آزمون علیت گرنجر غیرخطی مبتنی بر شبکه عصبی نشان می دهد که در بازه مطالعه، حجم معاملات آتی موجب ایجاد نوسانات در قیمت گواهی سپرده زعفران شده است، لذا در معاملات زعفران در بورس کالای ایران، اطلاعات از بازارهای آتی به بازار نقد جریان دارد و سفته بازی در بازار گواهی سپرده زعفران نمی تواند به عنوان عامل تثبیت کننده در قیمت معاملات آتی اثرگذار باشد.

investigating the relationship between saffron warehouse receipt's price fluctuations and saffron future trading volume in iran mercantile exchange(ime)

investigation the relationship between saffron warehouse receipt’s price fluctuations and saffron future trading volume in iran mercantile exchange (ime)abstractthe present article examines the effect of future trading volume on warehouse receipt’s price fluctuations and the two way communication between them, in order to analyze mixture of mixture of distribution hypothesis (mdh) and sequential information arrival hypothesis (siah).for this purpose, this study using the relationship between linear and nonlinear causality between these variables. results indicate that there is a two linear causality relationship between warehouse receipt’s price fluctuation and future trading volume. to investigate the existence of nonlinear causality between the two under studied, variables var model residual was used. the bds test results on var model residuals show the existence of a nonlinear relationship between the mentioned variables. the results of the nonlinear granger causality test based on neural network show that futures trading volume are the cause for price fluctuations in saffron warehouse receipt and therefore it can be stated that in saffron trading in iran commodity exchange, information flows from futures market to cash market and speculation in saffron warehouse receipt market as a stabilizer could not affect future trading prices.materials and methods:in this study, arma models are used to analyze the time series production process and then garch model to extract time series fluctuations of saffron warehouse receipts, var model to use model residuals and to recognize the existence of nonlinear relationships between variables. the linear and nonlinear granger causality test has been used to examine the causality, which explains the nonlinear granger causality test and its related preparations. to use nonlinear tests such as granger nonlinear causality test, first it is necessary to ensure the existence of nonlinear relationships between variables, which is done by the bds test, which is described below. after proving the existence of nonlinear relationships between variables, in this study, we used artificial neural networks and r software to investigate the existence of nonlinear causality.the results of bds test on the residuals obtained from the var model between the variables show the existence of a nonlinear relationship between the variables. the results show that although the existence of causality between the studied variables is proved linearly, but due to the nonlinear effects between the variables and granger nonlinear causality test, price fluctuations of warehouse receipts cannot be the cause of saffron futures volume. this means that information is flowing from the saffron futures markets to spot market, and since price fluctuations in warehouse receipt cannot be a reason for the volume of saffron futures transactions, it can be stated that speculation in the commodity deposit certificate market will not lead to changes in the trading volume of futures and as a result the price will not stabilize in future periods.